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What is the most liquid FX index future?
- Thread starter snackly
- Start date
Quote from PocketChange:
CME 6E Leads the run aways and runs deeper... Pull up and compare time/tick charts and you'll see the peaks and watch the pull backs on a synced spot chart. Not sure about the other currencies.
...
Primarily trade CME FX Options... Strikes are spread out a bit but if you know what your doing you can enjoy the leveraged upside with minimized downside risk. Costs about the same as a margined contract... Not sure where to trade Spot FX options...
Observation: Deeper Pockets from the perspective of big money playing at this exchange. Deep Pockets writing options. Time and Money management is critical. Watch the 100 lot orders in 6E and resulting price action.
Outside of Dukascopy, I don't see anyone in Spot Fx providing an executable price feed and Level II. Most are white labeled systems with propreitary data feeds. Must be nice to be the black jack dealer, house and player splitting 10's all at the same time.
Just my unsubstantiated observations.
Thanks for your time and wisdom here. Very interesting. Just curious, when you watch the Level II and T&S, you're speak of the FX Future contract or the FX Options on Futures data? Or both? Just curious since you said you trade mostly FX Futures Options on CME.
Clearly as you said the downside is minimized, but also as you noted the strikes are very wide, it is impossible then to buy one at the money correct? So by "know what you're doing" does that suggest you need a better understanding of where the direction of the underlying is headed in the short term? This would suggest that CME FX Options are not a good target for scalping, or am I mistaken?
Can I ask what broker and data provider you're using to trade?
Many thanks again,
Snackly
He means the spread is built into the transaction price.Quote from snackly:
Sorry I guess I am not following what you mean here.
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Any of the Currency CME Futures products will be able to fullfill any need you might have for liquidity ... they are overflowing with it and operate in a very standard and consistent manner.
Here is a list of the CME Currency Futures producs:
CME Currency Futures
Any of the majors will have more than enough liquidity to for any retail trader.
Here is a list of the major CME Currency Futures products and their daytrade and overnight margin rates:
Major CME Currency Futures Margin Rates
Hope that helps
Edit: You want to ignore the future which is listed as E-Mini Euro FX (that is the product that doesn't have much volume) and only focus on the following currency fututres:
1. Australian Dollar
2. British Pound
3. Canadian Dollar
4. Swiss Franc
5. Euro FX
***
You can try any of the other currency futures products if you want, but those are the only ones that I am familiar with.
Quote from snackly:
Thanks for your time and wisdom here. Very interesting. Just curious, when you watch the Level II and T&S, you're speak of the FX Future contract or the FX Options on Futures data? Or both? Just curious since you said you trade mostly FX Futures Options on CME.
Clearly as you said the downside is minimized, but also as you noted the strikes are very wide, it is impossible then to buy one at the money correct? So by "know what you're doing" does that suggest you need a better understanding of where the direction of the underlying is headed in the short term? This would suggest that CME FX Options are not a good target for scalping, or am I mistaken?
Can I ask what broker and data provider you're using to trade?
Many thanks again,
Snackly
Trade with Velocity and OpenECry. Use TT Xtrader platform and OEC. Algo Swing trading futures hedged with options. ie.. Balanced and hedged trade sets. 1 - 4 steps covering a range of 3 -5 strikes. Price inflection model... Don't care about market direction or conditions.
Scalping Options is a tough game... Hedging runaways with OTM Options works well for us and allows us to stay in the game longer and trade more aggressively.
100 - 10 strike OTM Strangle allows you to trade aggresively up to 10 - 20 contracts. The options are not our primary income vehicle but a form of insurance used to hedge positions and reduces risk.
When the market moves 3 - 5 strikes in a session and our tradesets exit profitably the options are also profitable and are liquidated.
When we get caught on the wrong side of a trade and the market runs away the options offset and reduce losses. We still take a hit but the losses are less than a third of taking it on the chin.
My point was CME currency contracts provides liquidity and options. Options are really only liquid to trade intraday during RTH.
Quote from PocketChange:
Trade with Velocity and OpenECry. Use TT Xtrader platform and OEC. Algo Swing trading futures hedged with options. ie.. Balanced and hedged trade sets. 1 - 4 steps covering a range of 3 -5 strikes. Price inflection model... Don't care about market direction or conditions.
Scalping Options is a tough game... Hedging runaways with OTM Options works well for us and allows us to stay in the game longer and trade more aggressively.
100 - 10 strike OTM Strangle allows you to trade aggresively up to 10 - 20 contracts. The options are not our primary income vehicle but a form of insurance used to hedge positions and reduces risk.
When the market moves 3 - 5 strikes in a session and our tradesets exit profitably the options are also profitable and are liquidated.
When we get caught on the wrong side of a trade and the market runs away the options offset and reduce losses. We still take a hit but the losses are less than a third of taking it on the chin.
My point was CME currency contracts provides liquidity and options. Options are really only liquid to trade intraday during RTH.
Do you do your algo trading with Velocity or Open E-Cry? I am using IB now but frankly I am sick of trying to get my software to connect through TWS.
What platform do you use btw for algo? Or is it custom/rolled in house?
Quote from snackly:
Do you do your algo trading with Velocity or Open E-Cry? I am using IB now but frankly I am sick of trying to get my software to connect through TWS.
What platform do you use btw for algo? Or is it custom/rolled in house?
Both... Legacy algo's running in Excel using Xt-API. Xtrader Pro / Autotrader. A bit kludgy. Equities and Futures.
Newer Optioned Hedged algo's running Excel via OEC excel plugin. Futures and Futures options
Testing Rightedge /OEC API for running compiled algo's.
Still in the works...
Quote from snackly:
I know there is for instance the CME dollar index. Not sure how liquid that is.
I looked at the E-mini EuroFX future on CME, it doesn't seem to have much volume in the evening.
What about the Eurodollar future?
Basically I'm looking for any FX based future that is somewhat liquid during London sessions?
Eurodollar is an interest rate product not a currency product!
Quote from snackly:
My problem with rightedge is that it doesn't support tick data yet.
I like the range of products that open ecry gives you. Do they charge extra for algorithmic trading? How does their data feed compare to say IB or zenfire?
THX
Rightedge uses the OEC API and should support all of its functionality. haven't gotten too far into the project.
No charge for their API or excel add in ...
Rightedge is licensed though.
They have a really good excel sample worksheet for pulling feeds and processing orders. Feeds are subscription limited to 50 instruments by default. For full otion chains you'll need to call them and they'll up your subscription.. Excellent Support.
Single instrument Feeds into excel running side by side against TT are pretty much in sync for our purposes (milliseconds). TT RTD and OEC DDE technically is a whole other debate.
So far we are very pleased with OEC and specifically their API and autotrading tools.